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Commodity and Equity Markets: Some Stylized Facts from a Copula.

Delatte, A-L.; Lopez, C. - Banque de France - 2013

In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...

Persistent link: https://www.econbiz.de/10010607535

The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets.

Jondeau, E.; Rockinger, M. - Banque de France - 1999

In the following paper the authors start with a review of theoretical elements of extreme value theory (evt). In the empirical section of this study they consider five mature markets, nine Asian, six Eastern European, and seven Latin American emerging markets. The tail-behavior of returns is...

Persistent link: https://www.econbiz.de/10005671921

Conditional Dependency of Financial Series: An Application of Copulas.

Rockinger, M.; Jondeau, E. - Banque de France - 2001

We develop a new methodology that measures conditional dependency. We achieve this by using copula functions that link marginal distributions, here chosen to obey a GARCH-type model with time-varying skewness and kurtosis. We apply this model to daily returns of stock-market indices. We find...

Persistent link: https://www.econbiz.de/10005487057

On the Role of a Stock Market: A Study of France, Germany, and thez Euro Area.

Krainer, R. - Banque de France - 2008

What factors cause banks to lend to the private sector in a bank-based financial system like the ones in place in Europe? In this paper we compare a traditional demand oriented model to a non-traditional capital budgeting model of bank lending based on movements in the equity cost of capital for...

Persistent link: https://www.econbiz.de/10005036180

Interest Rate Transmission and Volatility Transmission along the Yield Curve.

Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which takes into account most of the usual feaures of financial data (non-stationarity,...

Persistent link: https://www.econbiz.de/10005487060

Illiquidity, Financial Development and the Growth-Volatility Relationship Illiquidity, Financial Development and the Growth-Volatility Relationship.

Kharroubi, E. - Banque de France - 2006

This paper studies how financial development affects the relation between average growth and growth volatility through … volatility is more likely to be negative in developing countries, but more likely to be positive in developed economies. Finally …

Persistent link: https://www.econbiz.de/10004998817

The impact of unconventional monetary policy on the market for collateral: The case of the French bond market

Avouyi-Dovi, S.; Idier, J. - Banque de France - 2011

financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …

Persistent link: https://www.econbiz.de/10009275673

Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market.

Avouyi-Dovi, S.; Idier, J. - Banque de France - 2010

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that...

Persistent link: https://www.econbiz.de/10008516105

Credit Constraints and the Cyclicality of R&D Investment: Evidence from France.

Aghion, P.; Askenazy, P.; Berman, N.; Cette, G.; Eymard, L. - Banque de France - 2008

volatility in more credit constrained firms. …

Persistent link: https://www.econbiz.de/10008528504

The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models

Lemoine, M.; Mougin, C. - Banque de France - 2010

This paper models the relationship between growth and volatility for G7 economies in the time period 1960-2009. It … delivers for the first time estimates of this relationship based on a logarithm variant of stochastic volatility in mean (SV … show that output volatility has increased in all countries since the beginning of the financial crisis, which illustrates …

Persistent link: https://www.econbiz.de/10008511689